CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.2867	8.50***
β GARCH Volatility persistence	0.0121	205.47***
γ leverage Additional response to negative shocks	-0.2867	-8.50***
λ₁ tau intercept Baseline long-term coefficient	0.0000
λ₂ forecast adj. Forecast performance sensitivity	0.0000	5.00***
λ₃ tau persistence Long-term factor persistence	0.0001	1.37

V-Lab

Kaleon SpA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kaleon SpA Analyses